Where to Find: Historical Options Data

I have used SPX data from www.historicaloptiondata.com.

You can buy it from option metrics (sp?) and also directly from the CBOE, I believe.

No real correct answer, just use the mid price but there are so many ways to measure historical volatility:

• Standard stats definition (sum of squared distances from mean..) -Sum(LN(returns)^2) method which is variance from 0 (used by the options desks ive been on) -Parkinson's Hi/Lo method
• many more

NANEX

www.optionsdatamine.com offers free historical options for options going back 2 years

you can also find volume analysis and options charts with historical O,H,L,C, V, Open interest.

http://www.marketdataexpress.com/

Not sure if you're talking about realized or implied when you say "historical." I'm going to guess realized and go from there.

I really don't think it matters as long as you're consistent. IE: bid-to-bid is OK but ask-to-bid probably isn't. In any case, vol is usually an inexact science- kinda like beta- and I'm not sure that a discrepancy between the bid and ask on a liquid stock is going to throw off a realized vol calculation over a sufficient period of time.

Bloomberg.

Most online brokers offer charts of this. I'm not sure about price tables. Bloomberg has tables - see if there's one on your campus, and you'll be able to export it easily. It could be kind of hard to find intraday data online (ie not from a professional service like Bloomberg) for a lot of options because less liquid contracts can go days without an executed trade. (The market maker will always offer a bid-ask, so maybe mid price is more what you should look for.)

I free, but somewhat tedious way is to go to bigcharts at marketwatch . com and find the underlying security, then click options chain, then find the option you're looking for and click the name (string of numbers). Then click interactive chart.

You can then use you mouse to check prices on each day. This only works if the option in question has not yet expired. It's a pain in the ass, but if you only have a few and are trying to put together historical performance or something, it works.

Thanks! My campus should have Bloomberg access somewhere. I'll check around.

take a look at optionsdatamine.com you can find historical data going back 2 years for all stock options. graphs, charts and other stuff

good luck